面值目前股价转股价转股比例1009.4810.069.940357853第一年中第一年末第二年中第二年末0.00%1.60%0.00%1.80%ud风险中性概率p1.1904179090.8400411260.4909890486.66.877.297.2535508497.638067329 8 .0 2 2 5 8 3 8 198.9602384699.29.49.6104.9233518106.13714711 0 7 .3 5 0 9 4 2 3108.564737511.411.611.812120.5217481121.73554331 2 2 .9 4 9 3 3 8 6124.163133813.81414.214.4139.1140773140.92395461 4 2 .7 3 3 8 3 1 8144.5437091开始1年末13.434058682.67%138.890106311.285161772.86%124.0149513股价9.489.48折现率3.08%3.05%债券价值113.2669809113.17841727.9635898723.29%106.35162856.6897430013.52%103.2295374赎回期赎回价股票波动率第2 年后12024.65%第三年中第三年末第四年中第四年末0.00%2.00%0.00%2.40%7.47.67.889 9 .5 3 9 8 4 0 5 299.92435701100.3088735100.693399.81010.210.41 0 9 .7 7 8 5 3 2 8110.992328112.2061232113.593416912.212.412.612.81 2 5 .3 7 6 9 2 9126.5907243128.1083151129.988558214.614.81515.21 4 6 .3 5 3 5 8 6 4148.1634637149.9733409151.81477122年末3年末利率中间结果计算结果二叉树模型26.977707892.40%268.168070522.66238412.40%225.272207819.0373346519.037334652.43%2.40%189.237919189.23791915.9921440315.992144032.52%2.46%158.9676345158.967634513.4340586813.434058682.60%2.51%133.5393507133.539350711.2851617711.285161772.81%2.74%1201209.489.483.01%2.95%113.4404725113.29696447.9635898727.9635898723.28%3.28%106.8250569106.90650386.6897430016.6897430013.54%3.59%103.9178082104.21378895.6196592415.6196592413.74%3.80%100.1586534101.08541564.7207448754.7207448753.93%4.00%100.2463532101.87717723.9656198394.05%99.736829873.3312837544.10%101.6820359无风险利率公司债券利率设定步长2.40%4.10%0.5回售价回售期第五年中第五年末0.00%5.70%103最后一年8.28.48.68.8101.0779065101.4624229102.217923103.687674410.610.81111.2115.2811151116.8763861118.0941576119.30795291313.213.413.6131.8567482133.6844454135.4943227137.304215.415.615.816153.7361751155.6508487157.5599163159.43995134年末5年末54.175490852.40%538.523765945.509640322.40%452.382110538.2299694938.229969492.40%2.40%380.0195774380.019577432.114746632.11474662.40%2.40%319.2320736319.232073626.9777078926.977707892.40%2.40%268.1680705268.168070522.662384122.66238412.40%2.40%225.2722078225.272207819.0373346519.037334652.40%2.40%189.237919189.23791915.9921440315.992144032.40%2.40%158.9676345158.967634513.4340586813.434058682.40%2.40%133.5393507133.539350711.2851617711.285161772.62%2.40%120117.94495089.489.482.84%2.40%111.6777903105.77.9635898727.9635898723.27%3.27%106.156024103.98829036.6897430016.6897430013.69%4.10%104.2707918105.75.6196592415.6196592413.90%4.10%102.0497434103.55520924.7207448754.7207448754.10%4.10%103.853939105.73.9656198393.9656198394.10%4.10%101.7466072103.55520923.3312837543.3312837544.10%4.10%103.853939105.72.7984153542.7984153544.10%4.10%101.7466072103.55520922.3507839852.3507839854.10%4.10%103.853939105.71.9747552254.10%103.55520921.6588756024.10%105.7
